Modelling and Forecasting in Dry Bulk Shipping/Моделирование и прогнозирование в сегменте сухогрузных перевозок

Издание на английском языке
This book models price behaviour and forecasts prices in the dry bulk shipping market, a major component of the world shipping industry.
Recent uncertainties in the world economy, shipbuilding developments and fleet changes mean the dry bulk shipping market has become extremely volatile, highly speculative and more sensitive to external shocks. In response to these challenging circumstances, this book models price behaviour and forecasts prices in various markets including the freight market, the new-build ship market and the second-hand ship market. The authors have carried out extensive investigation of dry bulk shipping over a 60-year period in diverse submarkets, trading routes, market conditions and dry bulk vessels.
The authors also propose a framework for analysing and modelling the economic processes of numerous variables in the dry bulk shipping market, making use of modern econometric techniques and other economic approaches. This will be especially useful for the control and assessment of risk for shipowners and charterers in ship operation, ship chartering and ship trading activities.
This book will be extremely useful for shipbuilders, owners and charterers, as well as shipping analysts and policymakers. It will also be of great interest to academics and researchers concerned with the economics of the shipping industry.

Contents
List of figures
List of tables
List of acronyms
Preface
Chapter 1. Introduction
1.1 Definitions of dry bulk shipping
1.1.1 Dry bulk cargoes and vessels
1.1.2 Dry bulk markets
1.2 Scope, objectives and data issues
1.2.1 Scope
1.2.2 Objectives
1.2.3 Data-related issues
1.3 Research findings
Chapter 2. A review of dry bulk shipping development
2.1 Economic development
2.1.1 A retrospective of development in the dry bulk market since 1950
2.1.2 Learning from the past
2.2 Technical innovations
2.2.1 Economic triggers for technical innovations
2.2.2 Changes in speed and impact on economic performance
2.2.3 Changes in deadweight and impact on economic performance
2.2.4 Changes in lightweight and impact on economic performance
2.2.5 Changes in fuel consumption and impact on economic performance
Chapter 3. A survey of econometric modelling in the dry bulk shipping industry
3.1 The freight market
3.1.1 Efficient market hypothesis
3.1.2 Investigating risk premium
3.1.3 Pricing the freight market
3.1.4 Seasonality of spot and timecharter freight rates
3.1.5 Interrelationships between sub-freight sectors
3.1.6 Time-varying volatility of charter rates
3.1.7 Conclusions and questions
3.2 The ship market
3.2.1 Efficient market hypothesis
3.2.2 Ship prices model
3.2.3 Ordering and deliveries
3.2.4 Conclusions and questions
3.3 The freight derivatives market
3.3.1 Unbiasedness hypothesis of the freight forward market
3.3.2 Investigating the hedging efficiency of the FFA market
3.3.3 The effect of FFA trading on spot price volatility
3.3.4 The lead-lag relationship between forward and spot markets in terms of returns and volatilities
3.3.5 Forecasting spot and FFA prices
3.3.6 Conclusions and questions
Chapter 4. Modelling price behaviour in the freight market
4.1 Time-varying volatilities of rates in spot and period markets
4.1.1 Methodology
4.1.2 Description of data and statistical properties
4.1.3 Empirical results of dynamic volatility for three types of vessel
4.2 Term structure and risk premium
4.2.1 The term structure relation
4.2.2 Description of data and statistical properties
4.2.3 Empirical results
4.3 Dynamic interrelationship between sub-freight shipping sectors
4.3.1 Methodology
4.3.2 Data description and statistical properties
4.3.3 Dynamic relationships between Capesize and Panamax submarkets
4.3.4 Dynamic relationships between Panamax and Handymax submarkets
4.4 Dynamic relationships between spot freight and forward markets
4.4.1 The unbiasedness hypothesis of freight forward prices in the dry bulk market
4.4.2 The lead-lag relationship between forward prices and spot prices
4.5 Forecasts
4.5.1 Forecasting monthly spot rates on each route in each market
4.5.2 The forecasting performance of FFA prices
4.6 Conclusions
Chapter 5. Modelling price behaviour in the newbuilding ship market
5.1 Volatilities of ship prices in the newbuilding ship market
5.1.1 Methodology
5.1.2 Description of data and statistical properties
5.1.3 Empirical results
5.2 An empirical analysis of relationships between newbuilding prices and charter rates
5.2.1 Methodology
5.2.2 Data description
5.2.3 Empirical analysis
5.3 Relationships between prices in newbuilding, second-hand, scrap and freight markets
5.3.1 Description of data and statistical properties
5.3.2 Empirical results
5.4 Forecasts
5.5 Simulation-based optimization of ship design for newbuilding vessels
5.5.1 The optimization model descriptions
5.5.2 Empirical analysis
5.6 Conclusions
Chapter 6. Modelling price Behaviour in the second-hand ship market
6.1 Time-varying volatilities of ship prices in the second-hand ship market
6.1.1 Methodology
6.1.2 Description of data and statistical properties
6.1.3 Empirical results
6.2 An empirical analysis of relationships between second-hand ship prices and timecharter rates
6.2.1 Methodology
6.2.2 Description of data and statistical properties
6.2.3 Empirical analysis
6.3 Relationships between prices in second-hand, newbuilding, scrap and freight markets
6.4 Forecasts
6.5 Conclusions
Chapter 7. Conclusions
7.1 Limitations and further research
7.1.1 Technical innovations beyond dry bulk ships and their impacts on the economic performance of vessels
7.1.2 Making use of the Markov Regime Switching model to examine the dynamic variances of prices and risk premium in the freight market
7.1.3 Investigating the investment timing of trading ships depending on trading rules and forecasts of time series models
7.1.4 The optimization approach of ship designs applicable
to other types of vessel under different logistic situations
7.1.5 Doing more in terms of forecast evaluation
Appendix A: Methodology
Appendix B: Route descriptions of Baltic Panamax Index before October 2002
Appendix C: Wald test statistic on restrictions
Bibliography
Index